NSE cash L20/L200 stops during CAS while futures depth continues
Hello DhanHQ team and DhanHQ API users,
I am looking for a protocol-level clarification regarding Full Market Depth during the new NSE Closing Auction Session.
On August 4, 2026, I captured DhanHQ market data continuously from 08:45 IST to 16:05 IST using:
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One normal Full Market Feed WebSocket
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Five L20 WebSockets
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Five L200 WebSockets
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841 instruments on the normal Full feed
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212 instruments on L20
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Five NSE cash instruments on L200
Capture health
The capture completed without an infrastructure or connectivity failure:
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Expected sockets: 11
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Maximum sockets connected: 11
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Messages received: 21,919,801
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Bytes received: 16,701,996,750
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Rows written: 9,698,179
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Reconnects: 0
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Socket/parser errors: 0
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Dropped rows: 0
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Writer failures: 0
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Host-suspend gaps: 0 seconds
Observed NSE cash-depth timeline
For 208 CAS-eligible NSE cash equities:
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Cash L20 was active through the CAS reference period.
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The final cash L20 activity occurred at approximately 15:15:15.659 IST.
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The final L200 cash activity occurred at approximately 15:15:12.168 IST.
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No NSE cash L20 events were received during the actual CAS auction period.
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No NSE cash L200 events were received during the actual CAS auction period.
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Cash L20 resumed at approximately 15:50:00.448 IST.
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Cash L200 resumed at approximately 15:50:00.527 IST.
Why this does not appear to be a general WebSocket outage
Four NSE index futures were subscribed to L20 simultaneously.
During the same CAS auction period:
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Index-future L20 continued updating normally.
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It produced 26,024 bid-and-ask event rows.
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All 11 WebSockets remained connected.
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No reconnects or errors occurred.
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The cash subscriptions resumed later without being recreated.
The observed sequence was therefore:
15:00:00–15:14:59 NSE cash L20/L200 active
15:15:00–15:15:15 Final short cash-depth burst
15:20:00–15:29:xx CAS auction: no cash L20/L200 events
15:20:00–15:29:xx NSE index-future L20 continued
15:50:00 NSE cash L20/L200 resumed
Normal Full-feed behavior
The normal Full feed continued to deliver a limited number of packets for all 208 NSE cash instruments during CAS.
Each instrument received approximately two to five Full packets during the auction phase. Many instruments ended with a decoded exchange last-trade time corresponding to approximately 15:28:21 IST.
This suggests that the normal Full feed may carry an indicative-price, aggregate-auction or final-match update even though L20/L200 does not expose the auction book.
Clarifications requested from DhanHQ
Could the DhanHQ market-data team please clarify:
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Is NSE cash auction depth intentionally excluded from L20 and L200 during CAS?
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Does NSE provide the CAS auction order book to Dhan through a separate exchange feed?
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During CAS, does the normal Full-feed LTP field represent the Indicative Equilibrium Price?
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What do these Full-feed fields represent during CAS?
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Last traded price
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Last trade time
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Total buy quantity
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Total sell quantity
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Cumulative volume
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Five-level depth
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Are these CAS fields available through any DhanHQ REST or WebSocket interface?
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Indicative Equilibrium Price
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Indicative Matched Quantity
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Total auction buy quantity
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Total auction sell quantity
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Order imbalance quantity and side
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Is a CAS-specific packet type or response code planned?
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Should NSE cash L20/L200 silence between approximately 15:15 and 15:50 be treated as expected behavior rather than a feed outage?
Request to other API users
Has anyone else captured NSE cash L20 or L200 during CAS?
Useful comparison points would be:
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final cash-depth timestamp before CAS;
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whether derivatives depth continued;
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whether cash depth resumed at 15:50;
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whether Market Quote or another REST endpoint exposed CAS-specific fields;
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whether the same behavior occurred on August 3, August 4 or later sessions.
I can provide the DhanHQ engineering team with:
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session START and END manifests;
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per-socket health records;
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exact packet-boundary timestamps;
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aggregate Full-feed results for all 208 instruments;
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selected raw framed L200 packets;
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packet-decoder definitions and evidence hashes.
No credentials, access tokens or private account information will be posted publicly.
This is not intended as a generic outage complaint. I am requesting a documented market-data contract so API users can determine whether reconstruction of the CAS auction book is possible through DhanHQ.